Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions
type: Item
instance of: scholarly article
title: Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions
zbMATH Open document ID: 1054.62129
author: Li Wei
author: Hailiang Yang
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2004-11-05T00:00:00Z
review text: The risk process in which claim arrival times have an Erlang distribution and the claim size follows a Pareto distribution is considered. An explicit expression for the probability of ruin \(\Psi(n)\) is given. It is shown that \(\Psi(n)\) can be expressed as the sum of expected values of functions of gamma random variables. Numerical examples of the main results are given.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2113813
zbMATH Keywords: ruin probability
zbMATH Keywords: Erlang process
zbMATH Keywords: Pareto distribution
zbMATH Keywords: Laplace transform
zbMATH Keywords: removable singularity
zbMATH Keywords: contour integration
reviewed by: Andriy Olenko
MaRDI profile type: Publication
full work available at URL: s10255-004-0187-6
OpenAlex ID: W2068566100
cites work: Q5558293
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cites work: Q4700358
cites work: Q4059363
cites work: A solution to the ruin problem for Pareto distributions.
DOI: 10.1007/S10255-004-0187-6
description: scientific article; zbMATH DE number 2113813